Support Recovery for the Drift Coefficient of High-Dimensional Diffusions

DOI10.1109/TIT.2014.2317178zbMATH Open1360.62281MaRDI QIDQ2986274FDOQ2986274

Authors: José Bento Ayres Periera, Morteza Ibrahimi 

Publication date: 16 May 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Diffusion processes (60J60)

Cited In (3)

• On Dantzig and Lasso estimators of the drift in a high dimensional Ornstein-Uhlenbeck model
• Support Recovery for the Drift Coefficient of High-Dimensional Diffusions
• The Dantzig selector for a linear model of diffusion processes

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